ImpairmentCalc™ software produces IFRS 9 ECL estimates which are both forward-looking and incorporate the latest changes in the macroeconomic environment. To reflect the most recent available data, the underlying models driving ECL output are recalibrated and then updated in the software on a quarterly basis. An important driver of quarter-to-quarter changes in ImpairmentCalc ECL output is the quarterly recalibration of the Rating to Point-in-Time (PIT) PD model.
In order to explain the quarter-over-quarter changes in your allowances to your stakeholders and further transparency into our PIT PD model estimation, we have introduced - the PIT PD Converter Attribution Tool. This tool offers a breakdown of quarter-over-quarter PIT PD model changes based on the model component attribution, geographical attribution, and risk factor attribution. This will help institutions:
James Edwards, Associate Director, Moody's Analytics
Questions? Email MA-Webinars@moodys.com